The RATS Software Forum

Thank you, I opted for a transformation but I am confused about the interpretation of the parameter signs. Would a statistically significant positive sign on a "happiness" coefficient imply an expansion of the conditional volatility, i.e., tweets about a particular stock with predominantly...

I have an additional question about the shift variables. Do I have to code them as dummies (i.e., "angry" tweets per minute is a 1; zero otherwise) or could I leave them in the transformed form, which will be an aggregate of all the angry tweets in that one minute? So far, I have only seen...

Tom, I modeled the GARCH with the "mood" variables as variance shifts per your suggestion and that worked splendidly. I am hoping you could point me towards a procedure that would allow for out-of-sample forecasting and test the "strength" of those forecasts with another sample. ...

Dear Tom, I am having issues with convergence. I have attached the model as well a sample of the data. The data consists of min-by-min stock returns on AXP (American Express) and 10 mood indicators that have been transformed to eliminate the zero observations. The mood indicators were extracted with...

Thank you for your response. Let's assume that the data are independent, how would I define the covariance matrices for the individual beta coefficients. For the entire beta matrix (%beta), it would be %xx; would it be %xx(i,i) for %beta(i)?

Thank you,

Pieter

I am hoping you could recommend the appropriate procedure to test for the difference of BEKK coefficients between two models with similar data; for example the difference between B(2,1) of one model versus the B(2,1) of the next. My initial thought was to use a version of the Wald test but I am not ...

Thank you, Tom. You were correct; after I adjusted the mean model the residual ARCH effects disappeared.

Best,

Pieter

I am trying to fit a MV-GARCH BEKK model with two variables. The data is minute data with over 5000 observations. The problem I am facing is that the model consistently has significant residual multivariate ARCH effect . I tried different model specifications but it seems that one variable is creati...

Dear RATS Users, First and foremost, Happy New Year to all of you! For my latest revision of research, I am using the FMOLS procedure for cointegrated panels by Pedroni (Pedroni, Peter (2000) "Fully Modified OLS for Heterogeneous Cointegrated Panels," Advances in Econometrics, Vol. 15, 93-...